Research studies have shown that women are twice as likely to suffer from anxiety and major depression than men. This could be because women are biologically more vulnerable to stress or because men and women use different coping strategies to deal with problems. Men are more likely to use problem-focused coping, seeking practical ways to deal with the root cause of the problem whereas women are more likely to use emotion-focused coping to try and change the way they feel about difficult and stressful situations. Emotion-focused coping is predictive of higher levels of psychopathology and functional impairment. A study of 107 people in the U.S. looked into the relationships between gender and coping strategies and depression and anxiety. Women who used less positive reframing (attempting to see problems in a positive light) had higher levels of depression than other women and higher levels of depression than men irrespective of what coping strategy the men used. Women who were more prone to blame themselves had higher levels of anxiety although men who blamed themselves did not.
Kelly, Megan M. ... [et al] - Sex differences in the use of coping strategies: predictors of anxiety and depressive symptoms Depression and Anxiety 2008, 25(10), 839-846